Using Mobipocket Creator
Mobipocket Creator is a piece of software that will turn your Filtered HTML document into an eBook to sell through Amazon. It's only compatible with PCs running Windows 2000/XP or greater. There aren't any solutions given on Amazon's official site for those running OSX, so find a friend running the right operating system and download the software here.

Start it up.

Select "HTML Document" from the section "Import from an Existing File."

Browse to the HTML file and press "Import."

This will open the book editing function. Click on "Cover Image."

Click "Add a Cover Image" and browse your files to locate the book cover.

Select your book cover and click "Update" to save your cover.

Select "Build" from the Menu.

On the Build page, click "Build."

Once complete, the message "Build Finished" will appear.

Click the circle next to "Open folder containing eBook" and select "OK."

The file has been saved in .prc format in your My Documents/My Publications folder.

Cover your book and use Kindle Previewer
Kindle Previewer will show you exactly what the reader will see when he reads your book. Download it here and use it to open your .prc file. Did you catch a mistake? Change it in your original Microsoft Word document and go through the same process described above to output a new .prc file.

Get published
Once you're happy with your finished product, upload your .prc file here. After entering in your pricing and royalty information, click "Save and publish." Your book will appear for sale in the Amazon eBook store within 24-48 hours. Amazon gives you 70 percent of all sales. Tell your friends to buy it and tell John Grisham to eat his heart out.

Alternatives
Apple is the other big player making a foray into helping authors self-publish their books. Their iBooks platform makes it a snap to buy books to read on your iPhone, iPod Touch, or iPad, but getting your book into their marketplace is considerably trickier.

Before even submitting your book for their consideration, you need a manuscript in ePub format, a 13-digit ISBN, validation against ePubCheck 1.0.5, a US Tax ID, a valid iTunes Store account, and an Intel-based Mac running Leopard or higher.

None of these things are impossible, but we're much more impressed with how straightforward and accessible the same process is through Amazon.
If you want to give iBooks a try, the process starts here.